Shrinkage GMM Estimation in Conditional Moment Restriction Models

DOI10.14490/jjss.39.239zbMath1248.62123OpenAlexW2101544902MaRDI QIDQ2919543

Ryo Okui

Publication date: 4 October 2012

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=39_2_239&screenID=AF06S010&noVol=39&noIssue=2

zbMATH Keywords

instrumental variables estimationhigher order expansionsshrinkage methodmany instruments problem

Mathematics Subject Classification ID

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